Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 4 |
| Score | 0.52 | -0.49 | 4.75 |
| Market Cap (Millions USD) | 2045.52 | 1990.64 | 2046.14 |
| Predicted Beta | 1.88 | 1.89 | 1.9 |
| Idiosyncratic Volatility | 6.06 | 6.06 | 6.25 |
Annualized return and volatility
| IYH | |
|---|---|
| Annualized Return | 0.0772 |
| Annualized Std Dev | 0.1711 |
| Annualized Sharpe (Rf=0%) | 0.4515 |
Row
Daily Return Statistics
| IYH | |
|---|---|
| Observations | 4996.0000 |
| NAs | 118.0000 |
| Minimum | -0.0681 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1035 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0108 |
| Skewness | -0.2078 |
| Kurtosis | 5.4722 |
Downside Risk
| IYH | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0082 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0077 |
| Downside Deviation (0%) | 0.0077 |
| Maximum Drawdown | 0.4313 |
| Historical VaR (95%) | -0.0166 |
| Historical ES (95%) | -0.0260 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0290 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2002-07-23 | 2007-04-12 | -0.4313 | 1605 | 396 | 1209 |
| 2007-12-11 | 2009-03-05 | 2011-04-01 | -0.3855 | 848 | 318 | 530 |
| 2015-07-21 | 2016-02-11 | 2017-03-15 | -0.1930 | 423 | 146 | 277 |
| 2011-05-19 | 2011-08-10 | 2012-02-01 | -0.1815 | 180 | 58 | 122 |
| 2018-10-02 | 2018-12-24 | 2019-11-12 | -0.1641 | 285 | 59 | 226 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 3.6 | -0.1 | 0.0 | 1.1 | -2.1 | 0.0 | 2.6 |
| 2001 | 0.5 | -1.2 | 0.0 | 0.2 | 1.7 | 0.0 | -0.4 | 0.0 | 1.0 | 1.3 | 0.0 | 0.0 | 3.0 |
| 2002 | 0.3 | 1.5 | 0.2 | 1.7 | 0.0 | -4.4 | -3.2 | 0.0 | 2.8 | 1.2 | 0.0 | 0.0 | -0.2 |
| 2003 | 0.0 | 0.0 | 1.0 | 0.3 | 0.0 | 0.3 | -1.6 | 0.0 | 1.4 | 0.0 | 1.7 | 0.0 | 3.1 |
| 2004 | 0.0 | 0.5 | 1.0 | 0.0 | 0.6 | -0.6 | 0.0 | 0.3 | 1.2 | -1.1 | 1.6 | 0.0 | 3.5 |
| 2005 | 1.0 | 1.0 | -0.7 | 0.0 | 0.5 | 0.1 | 0.5 | 0.2 | 0.0 | -0.2 | 0.8 | 0.0 | 3.3 |
| 2006 | 0.8 | 0.2 | 0.0 | -0.8 | 1.5 | 0.0 | -0.2 | 0.4 | 0.0 | -0.7 | 0.0 | 0.0 | 1.3 |
| 2007 | 0.8 | -0.6 | 0.0 | 0.4 | 0.3 | 0.0 | 0.9 | 0.0 | 0.9 | -1.6 | 0.0 | 0.0 | 1.1 |
| 2008 | 1.1 | 0.0 | 2.3 | 1.4 | 0.0 | 0.7 | -0.8 | 0.0 | 0.1 | 0.0 | -6.1 | 0.0 | -1.5 |
| 2009 | 0.0 | 0.0 | -0.1 | -0.3 | 0.6 | -0.3 | 0.0 | -1.4 | -1.6 | 0.0 | 1.3 | 0.0 | -1.9 |
| 2010 | 0.4 | 1.1 | 0.5 | 0.0 | -1.1 | -1.1 | 0.0 | 2.4 | 0.0 | -0.1 | 1.7 | 0.0 | 3.8 |
| 2011 | 1.6 | -0.7 | 0.5 | 0.0 | -1.3 | 1.3 | -1.8 | -0.8 | 0.0 | -2.0 | 0.1 | 0.0 | -3.1 |
| 2012 | 1.1 | 0.4 | 0.0 | 0.3 | -1.9 | 0.0 | -0.1 | 0.0 | 0.5 | 0.9 | 0.0 | 0.0 | 1.2 |
| 2013 | 0.9 | 0.6 | 0.2 | -1.1 | 0.0 | 0.5 | 0.7 | 0.0 | 1.4 | 0.4 | 0.0 | 0.0 | 3.8 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.3 | 0.0 | 1.4 | -0.1 | 0.0 | -1.0 | 0.0 | -0.3 | 0.0 | 1.0 |
| 2015 | 0.0 | 0.0 | -1.2 | 1.5 | 0.3 | 0.9 | 0.0 | -2.7 | 1.0 | 0.0 | 1.6 | 0.0 | 1.2 |
| 2016 | 0.3 | 2.3 | 1.3 | 0.0 | 0.4 | 0.7 | 0.7 | -0.2 | 0.0 | -0.4 | -0.8 | 0.0 | 4.3 |
| 2017 | 0.7 | 1.1 | 0.0 | 0.2 | 1.2 | 0.0 | -0.3 | 0.0 | 0.0 | 0.2 | -0.2 | 0.0 | 3.0 |
| 2018 | 0.2 | -1.6 | 0.0 | 0.1 | 1.1 | 0.0 | 0.1 | 0.0 | 0.6 | 1.4 | 0.0 | 0.0 | 1.9 |
| 2019 | 0.1 | 1.6 | 0.1 | -0.4 | 0.0 | 0.6 | 0.1 | 0.0 | -1.1 | 0.3 | 0.0 | -0.1 | 1.3 |
Row
Rolling Performance Chart
Snail Trail Chart
